Skew-t inference with improved covariance matrix approximation

Filtering and smoothing algorithms for linear discrete-time state-space models with skew-t distributed measurement noise are presented. The proposed algorithms improve upon our earlier proposed filter and smoother using the mean field variational Bayes approximation of the posterior distribution to a skew-t likelihood and normal prior. Our simulations show that the proposed variational Bayes approximation gives a more accurate approximation of the posterior covariance matrix than our earlier proposed method. Furthermore, the novel filter and smoother outperform our earlier proposed methods and conventional low complexity alternatives in accuracy and speed.

• Publication year

  2016

• Venue

  arXiv.org

• Publication date

  2016-03-20

• Fields of study

  Mathematics, Computer Science, Engineering

• Identifiers
  arXiv 1603.06216
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

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